Software like this seem like snakeoil to me. They often rely on process paths to identify applications, but that can be easily bypassed by using a reputable/plausible program as a lackey [1], or more sophisticated techniques like process hollowing[2]. Afterwards, they can communicate as the (presumably whitelisted) application. Any host-based rules (if any) can be bypassed by routing internet traffic using "popular" domains (eg. CDNs, social media networks), or by social engineering (eg. triggering a request at the same time as a user action, to make the user think it's something he intended to do).
On unsandboxed platforms, you either trust an application completely, or you don't. Tools like little snitch don't turn dangerous programs into safe ones; they only give you a false sense of security.